Description of SPDR Convertible Securities ETF

SPDR Bloomberg Barclays Convertible Securities ETF

Statistics of SPDR Convertible Securities ETF (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return of 43.8% of SPDR Convertible Securities ETF is smaller, thus worse.
  • During the last 3 years, the total return, or increase in value is 38.9%, which is lower, thus worse than the value of 46.6% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual return (CAGR) of 7.5% of SPDR Convertible Securities ETF is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is 11.6%, which is lower, thus worse than the value of 13.6% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the volatility of 10.4% of SPDR Convertible Securities ETF is lower, thus better.
  • Looking at volatility in of 10.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 11.5% in the last 5 years of SPDR Convertible Securities ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (14.6%)
  • Looking at downside risk in of 11.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.2%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of SPDR Convertible Securities ETF is 0.48, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
  • Looking at Sharpe Ratio in of 0.89 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.89).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the excess return divided by the downside deviation of 0.44 of SPDR Convertible Securities ETF is lower, thus worse.
  • Compared with SPY (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of 0.78 is higher, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of SPDR Convertible Securities ETF is 4.08 , which is greater, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Looking at Downside risk index in of 2.98 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (4.01 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:
  • Looking at the maximum DrawDown of -15.9 days in the last 5 years of SPDR Convertible Securities ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum DrawDown is -13.8 days, which is greater, thus better than the value of -19.3 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 288 days of SPDR Convertible Securities ETF is greater, thus worse.
  • During the last 3 years, the maximum days under water is 169 days, which is greater, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 64 days in the last 5 years of SPDR Convertible Securities ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 32 days is lower, thus better.

Performance of SPDR Convertible Securities ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR Convertible Securities ETF
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Allocations

Returns of SPDR Convertible Securities ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of SPDR Convertible Securities ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.